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Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.09.003
Abstract: This paper provides a necessary and sufficient condition for one-fund separation to occur in incomplete-market economies where finitely many agents with distinct risk aversion and heterogeneous beliefs are allowed to trade two assets. The condition…
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Keywords:
fund separation;
one fund;
two assets;
fund ... See more keywords